Hi Bearish - yes that is what i am trying to do. I think i will start by going down the more simple matching route before the estimation route. However, i do think the estimation route will be where i end up.  Not wanting to ask too much - but can you point me in the direction of a relevant text on ...

Hi Alan - thanks. I'll take a proper read through it now. It looks like a good starting point for how the securities are filtered for the benchmark indices.

Hi bearish, thanks for the reply. the tool i'm trying to make is what a bond index ETF manager would use. firstly i want to be able to create a basket of bonds that replicates the index that the ETF tracks - for example the Invesco US HY Fallen Angels ETF that tracks the FTSE Time-weighted US Fallen...

Hi All - 1st post to the forums. I am trying to build a bond index replication tool but am struggling to find any useful research papers or method explanations. I am considering using methods such as stratified sampling or PCA. However, having never implemented either method myself in practice i nee...